Multiple Equation Systems with Stationary Errors

DOI10.2307/1913491MaRDI QIDQ5681448zbMATH OpenOpenAlexFDO

Authors

Publication date 1973

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913491

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to economics (62P20)

Cited in

(7)

• Large sample estimation and testing procedures for dynamic equation systems
• Local and global identification and strong consistency in time series models
• Estimation of simultaneous equation models with stochastic trend components
• Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances
• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• A bootstrap causality test for covariance stationary processes
• Central limit theorems for time series regression

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